This is my method:
1. Brush the pony's hair out as much as possible and free it of tangles. You may have to work in small sections to do this.
2. Wash and dry the pony completely, including the hair. I use Dawn dish soap in lieu of shampoo to remove dirt and impurities that might react with the flat iron (hair straightener). Personally I never submerge my ponies in water unless their heads have been removed (head removal not necessary for de-frizzing).
3. Comb out the hair again. You can use a little bit of conditioner to make this easier. Remember not to ever pull or yank, but to work delicately and patiently.
4. Once the hair is combed through and has some conditioner in it, use the flat iron on medium or medium/low heat just as you would on human hair. Re-apply the conditioner so that the pony's hair is ALWAYS slightly damp when coming into contact with the flat iron. Otherwise, it may burn or melt.
5. Repeat until frizz is tamed.
6. Rinse the pony (especially the hair) in warm to hot water, and let dry for several days in a dry, ventilated area.
Examples: